Jalal, Amine; Rockinger, Michael - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We investigate the consequences for value-at-risk and expected shortfall purposes of using a GARCH filter on various mis-specified processes. In general, we find that the McNeil and Frey (2000) two step procedure has very good forecasting properties. Using an unconditional non filtered tail...